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A Framework for Optimization of Technical Indicators Parameters for Forex (Foreign Exchange) based on Genetic Algorithm

by Tamer Sh. Mazen
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 183 - Number 25
Year of Publication: 2021
Authors: Tamer Sh. Mazen
10.5120/ijca2021921623

Tamer Sh. Mazen . A Framework for Optimization of Technical Indicators Parameters for Forex (Foreign Exchange) based on Genetic Algorithm. International Journal of Computer Applications. 183, 25 ( Sep 2021), 6-10. DOI=10.5120/ijca2021921623

@article{ 10.5120/ijca2021921623,
author = { Tamer Sh. Mazen },
title = { A Framework for Optimization of Technical Indicators Parameters for Forex (Foreign Exchange) based on Genetic Algorithm },
journal = { International Journal of Computer Applications },
issue_date = { Sep 2021 },
volume = { 183 },
number = { 25 },
month = { Sep },
year = { 2021 },
issn = { 0975-8887 },
pages = { 6-10 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume183/number25/32081-2021921623/ },
doi = { 10.5120/ijca2021921623 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-07T01:17:51.050869+05:30
%A Tamer Sh. Mazen
%T A Framework for Optimization of Technical Indicators Parameters for Forex (Foreign Exchange) based on Genetic Algorithm
%J International Journal of Computer Applications
%@ 0975-8887
%V 183
%N 25
%P 6-10
%D 2021
%I Foundation of Computer Science (FCS), NY, USA
Abstract

A new methodology to optimize the parameters of a collection technical analysis indicators of Forex (Foreign Exchange) based genetic algorithm (GA), over two objective functions Sharpe ratio and annual profit is presented in this study. The technique handles four indicators DEMAC (Double Exponential Moving Average Crossovers), RSI (Relative Strength Index), MACD (Moving Average Convergence Divergence), and MARSI (Moving Average RSI) indicators. A proposed framework is tested on 20 years of historical data EURUSD. Results showed that the optimized parameters obtained by the proposed technique improved the profits obtained by the indicators with their typical parameters, the Buy and Hold strategy and the random strategy.

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Index Terms

Computer Science
Information Sciences

Keywords

Forex Forex Indicators Technical Analysis Genetic Algorithms Parameter Optimization.

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